System and method for monitoring trading

• US 8,630,934 B2
• Filed: 06/20/2006
• Issued: 01/14/2014
• Est. Priority Date: 06/20/2006
• Status: Active Grant

• Current Assignee: Nasdaq Technology AB (Nasdaq, Inc.)
• Original Assignee: OMX Technology AB
• Inventors: Altius, Goran
• Primary Examiner(s): Colbert, Ella
• Assistant Examiner(s): GREGG, MARY M
• Application Number:
  US11/455,935
• Publication Number:
  US 20080015966A1
• Time in Patent Office: 2,765 Days
• Field of Search: None
• US Class Current: 705/36.R
• CPC Class Codes: G06F 12/0804 with main memory updating G06F12/0806 takes precedence
• CPC Class Codes: G06F 12/0866 for peripheral storage systems, e.g. disk cache
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G11C 8/12 Group selection circuits, e.g. for memory block selection, chip selection, array selection

Abstract

A monitoring system for monitoring trade at an electronic exchange comprises memories related to a specific time interval. A trade occurring during that time interval or a parameter value related to the trade is recorded to a memory related to the time interval. At a point in time, a recent trade parameter is determined based on the accumulated trade parameter values in the memories. Based on the recent trade parameter and some rules and operators, one or more monitoring actions is executed.

Claims

1. A computer system for monitoring matching of orders to buy or sell securities between participants, the matching of orders being communicated in trade messages that relate to securities trading, the trade messages comprising trade parameter data, the computer system comprising:

a hardware interface for receiving trade messages,

a computer-implemented extractor arranged to communicate with the interface to receive a trade message, and then extract a trade parameter value based on the trade parameter data of the trade message,

a number of multiple memories that are each computer-readable and computer-writeable,

a computer-implemented write unit arranged to communicate with the memories and the computer-implemented extractor for cyclically and sequentially addressing the memories one memory at a time for accumulating trade parameter values extracted during a start time and a stop time for each memory,

a computer-implemented read unit arranged to communicate with the memories for reading accumulated trade parameter values from the memories, and

a computer-implemented determiner arranged to communicate with the read unit for determining a recent trade parameter by utilizing the accumulated trade parameter value(s) read from the memories,

wherein the computer system is arranged to decrease risk exposure to price changes of one or more securities being traded by at least one of the participants based on the recent trade parameter.

2. The computer system in claim 1, wherein the number of memories includes a loop of three or more memories and the computer system is arranged to calculate the recent trade parameter for each memory loop based on the accumulated trade parameter value(s) stored in each memory in the loop.

3. The computer system in claim 2, wherein when each memory is addressed in the cycle, a new trade parameter value is stored in place of an old trade parameter value stored in the memory during the previous start and stop time.

18. A network device comprising a computer system according to claim 1.

4. A computer system for monitoring matching of securities orders between participants to buy or sell securities, the matching of securities orders is communicated in trade messages, the trade messages including securities trade parameter data, the computer system comprising:

a first memory that is computer-readable and computer-writeable for storing securities trade parameter values from a first start time to a first end time,

a second memory that is computer-readable and computer-writeable for storing securities trade parameter values from a second start time to a second end time, the second start time occurring later than the first start time and the second end time occurring later than the first end time,

a hardware interface for receiving the trade messages,

a processor programmed to;

upon receiving a trade message via the interface, determine a securities trade parameter value based on the securities trade parameter data in the trade message,

cyclically and sequentially address the first and second memories one memory at a time;

add the trade parameter value to an addressed one of the memories to create an accumulated securities trade parameter value for the addressed memory, and

determine a recent securities trade parameter by utilizing the accumulated securities trade parameter value from at least one of the first memory and second memory,

monitor matching of securities orders using the recent securities trade parameter to decrease risk exposure for a trading participant to price changes of securities being traded.

5. A computer system according to claim 4, the processor being programmed to:

upon a first securities trade message in a time interval overwrite an old accumulated securities trade parameter value in the memory by adding the securities trade parameter value,

sequentially adding the securities trade parameter value to the memory being accessible.

6. A computer system according to claim 4, further comprising an evaluator, the evaluator being programmed to:

evaluate the recent securities trade parameter in view of a threshold value using an operator, and

if the recent securities trading parameter fulfills a criterion based on the evaluation, execute a monitoring action.

7. A computer system according to claim 6, wherein the monitoring action is a securities order canceling action related to a specific participant.

8. A computer system according to claim 6, comprising a plurality of threshold values, the processor further being programmed to perform a specific monitoring action when the recent securities trading parameter exceeds each threshold value.

9. A computer system according to claim 6, wherein the monitoring action is a canceling action, the canceling action being executable by either deleting the orders or by inactivating the orders.

10. A computer system according to claim 4, wherein the second start time occurs simultaneously with the first end time.

11. A computer system according to claim 4, wherein the time between the first start time and first end time is less than 30 seconds.

12. A computer system according to claim 4, wherein the time between the second start time and second end time is less than 30 seconds.

13. A computer system according to claim 4, comprising 2 to n memories that are computer-readable and computer-writeable, each memory being accessible for storing from a start time and an end time, wherein the n:

th start time occurs after the (n−

1)th start time and n;

th end time ends after (n−

1)th end time.

14. A computer system according to claim 4, the processor further being programmed to access the first and second memories when a trade occurs.

15. A computer system according to claim 4, the processor further being programmed to accumulate a recent securities trade parameter from an individual or group of securities for an individual or a group of participants.

16. The computer system in claim 4, wherein the number of memories includes a loop of three or more memories and the computer system is arranged to calculate the recent trade parameter for each memory loop based on the accumulated trade parameter value(s) stored in each memory in the loop.

17. The computer system in claim 16, wherein when each memory is addressed in the cycle, a new trade parameter value is stored in place of an old trade parameter value stored in the memory during the previous start and stop time.

19. A computer-implemented electronic exchange system, comprising:

a market place comprising an electronically readable and writeable orderbook memory for storing a record of security trade orders to buy or sell securities,

matching circuitry for matching of security trade orders,

an electronically readable and writeable member database,

a computer-implemented information dissemination module for distributing information to members associated to the electronic exchange, and

a computer-implemented trade monitoring module for monitoring matching of orders in the electronic exchange,

the matching of orders is communicated in trade messages, the trade messages comprising trade parameter data, the computer-implemented trade monitoring module comprising;

an interface for receiving trade messages relating to securities trading,

a computer-implemented extractor arranged to communicate with the interface to receive a trade message and then to extract a trade parameter value based on the trade parameter data of the trade message,

a number of multiple memories that are computer-readable and computer-writeable associated with the computer-implemented extractor,

a computer-implemented write unit arranged to communicate with the memories for cyclically and sequentially accessing the memories one memory at a time for accumulating extracted trade parameter values during a start time and a stop time for each memory,

a computer-implemented read unit arranged to communicate with the memories for reading accumulated trade parameter values from the memories, and

a computer-implemented determiner arranged to communicate with the read unit for determining a recent trade parameter by utilizing the accumulated trade parameter values read from the memories,

wherein the computer-implemented trade monitoring module is arranged to decrease risk exposure to price changes of one or more securities being traded by at least one of the participants based on the recent trade parameter.

20. The electronic exchange in claim 19, wherein the number of memories includes a loop of three or more memories and the computer system is arranged to calculate the recent trade parameter for each memory loop based on the accumulated trade parameter value(s) stored in each memory in the loop.

21. The electronic exchange in claim 20, wherein when each memory is addressed in the cycle, a new trade parameter value is stored in place of an old trade parameter value stored in the memory during the previous start and stop time.

31. A memory or storage medium having program instructions for carrying out the steps of the method as claimed in claim 19.

22. A computerized method for monitoring matching of orders to buy or sell securities in an electronic exchange, between different participants, the matching of securities orders is communicated in trade messages, the trade messages including securities trade parameter data, the exchange including a first memory that is computer-readable and computer-writeable for storing securities trade parameter values from a first start time to a first end time, a second memory that is computer-readable and computer-writeable for storing securities trade parameter values from a second start time to a second end time, the second start time occurring later than the first start time and the second end time occurring later than the first end time, and a hardware interface for receiving the trade messages, the computerized method comprising the steps of:

upon receiving a trade message via the interface, electronically determining a securities trade parameter value on a processor based on the securities trade parameter data in the trade message,

the processor electronically cyclically and sequentially addressing the first and second memories one memory at a time;

the processor electronically adding the securities trade parameter value to one or both of the addressed memories, thereby creating an accumulated securities trade parameter value, and

the processor electronically determining a recent securities trade parameter by utilizing the accumulated securities trade parameter value from at least one of the first memory and second memory,

the processor electronically monitoring matching of securities orders using the recent securities trade parameter to decrease risk exposure for a trading participant to price changes of securities being traded.

23. A method according to claim 22, the method further comprising the computerized steps of:

the processor electronically evaluating the recent securities trade parameter in view of a threshold value using an operator, and

if the recent securities trading parameter fulfills a criterion based on the evaluation, the processor electronically executing a monitoring action.

24. A method according to claim 23, wherein the monitoring action includes canceling matching of orders related to a specific participant.

25. A method according to claim 23, wherein the monitoring action includes a canceling action, the method further comprising the processor electronically executing the canceling action by either deleting the orders or by inactivating the orders.

26. The computerized method in claim 22, wherein the exchange includes a loop of three or more memories and the method further comprises calculating the recent trade parameter for each memory loop based on the accumulated trade parameter value(s) stored in each memory in the loop.

27. The computerized method in claim 26, wherein when each memory is addressed in the cycle, a new trade parameter value is stored in place of an old trade parameter value stored in the memory during the previous start and stop time.

28. A computerized method for monitoring matching of orders to buy or sell securities between participants in an electronic exchange comprising an interface, a number of multiple memories that are electronically readable and writeable by a processor, the matching of orders being communicated in trade messages relating to securities trading, the trade messages comprise trade parameter data, the method comprising the steps of:

the processor electronically extracting a trade parameter value based on the trade parameter data of the trade message,

the processor electronically cyclically and sequentially addressing the memories one at a time for accumulating extracted trade parameter values during a start time and a stop time for each memory,

the processor electronically reading accumulated trade parameter values from the memories,

the processor electronically determining a recent trade parameter by utilizing the accumulated trade parameter values read from the memories, and

the processor electronically decreasing risk exposure to price changes of one or more securities being traded by at least one of the participants based on the recent trade parameter.

29. The computerized method in claim 28, wherein the exchange includes a loop of three or more memories and the method further comprises calculating the recent trade parameter for each memory loop based on the accumulated trade parameter value(s) stored in each memory in the loop.

30. The computerized method in claim 29, wherein when each memory is addressed in the cycle, a new trade parameter value is stored in place of an old trade parameter value stored in the memory during the previous start and stop time.